Born and raised in Brazil, Costa began his senior club career playing for Braga, but never initially played for the side prior to relocating to Spain to sign with Atlético Madrid at age 19, in 2007. However, he featured sparingly for his parent club, and instead, embarked on several loan periods, notably gaining traction as a ferocious goalscorer with Celta Vigo and Albacete, which garnered him a move to fellow La Liga club Real Valladolid in 2009. He immediately became the team's talisman, finishing as their top goalscorer, and returned to Atlético Madrid a season later, prior to embarking on another loan, this time, departing to Rayo Vallecano. After also finishing as the club's highest goalscorer, Costa returned to his parent club with an increased role in 2011.